The effect of random scale changes on limits of infinitesimal systems

Iernat. J.

,th.

&

Math.

Sci. Vol.

(1978)339-372

339

THE

EFFECT OF RANDOM

SCALE CHANGES

ON LIMITS

OF INFINITESIMAL SYSTEMS

PATRICK L. BROCKETT

Department of Mathematics

The University of Texas

Austin, Texas 78712 U.S.A.

(Received August 25, 1977 and in revised form April 3, 1978)

ABSIRACT. Suppose S

{{X.,

j=l,2,...,k }} is an infinitesimal system of

nj n

random variables whose centered sums converge in law to a (necessarily infinitely divisible) distribution with Levy representation determined by the triple

(y,o2,M).

If

{Yj,

j=l,2 are independent indentically

distributed random variables independent of S, then the system

S’

{{YjXnj,

j=l,2,.o.,kn

}} is obtained by randomizing the scale parameters

in S according to the distribution of

YI"

We give sufficient conditions on the distribution of Y in terms of an index of convergence of S, to insure

that centered sums from

S’

be convergent. If such sums converge to a dis-tribution determined by

(y’,(o’)2,A),

then the exact relationship between

(y,o2,M)

and

(y’,(o’)2,A)

is established. Also investigated is when limit

340 P. L. BROCKETT

products of random variables belong to the domain of attraction of a stable

law.

KEY WORDS

AND

PHRASES.

General central

limit

theorem, products

of

random

vaiabl in

the

domain

of

attraction

of

stable

laws,

Lvy

spect

function.

AMS(MOS)

SUBJECT

CLASSIFICATION

(1970)

CODES.

60F05,

60F99.

i. INTRODUCTION AND SUMMARY.

The classical linear model for the relationship between empirical data Y and theoretical or

"true"

data X is to assume Y X

+

e where e (the error)

is a random variable independent of X with E(e) 0. In some cases however

the error tends to depend upon X. For example if X denotes the measurement of some random phenomenon we may find the empirical data agrees well with X for values of X which aresmall, but theerrorbecomes increasingly greater as X becomes larger. Such is the case when a measuring device has a constant per-centage error. If we have selected a measuring device at random from a

popu-lation of devices whose constant percentage error Y follows the distribution function G, then we may model the empirical data as YX where Y and X are independent and E(Y) i. The empirical data can be considered as a random scale change of the theoretical data X, or equivalently the scale parameter of X has been subjected to a mixture with mixing distribution function G.

The problem we shall consider is the mathematical problem of limit

dis-tributions for sums when the scale parameter is mixed. Specifically, if

S

{{Xnj

j=l,2,...,kn

}} is an infinitesimal system of random variables whose centered sums converge in distribution to some (infinitely divisible)

random variable

X,

and if

{Yj,

j=l,2 is a sequence of independent

iden-tically distributed random variables which is independent of S, we seek conditions on the distribution of

Y1

and the system S to insure that centered

converge, say to Z. In case

S’

does converge, we wish to determine the

exact relationship between X and Z.

Here we take an index of convergence

S

of the system S and under

+

hypothesis E

IYII

S

<

for some 8

>

O,

we obtain a necessary the weak

and sufficient condition for convergence of the system

S’.

When

S’

con-verges we then obtain the exact relationship between the limit distribu-tions of X and Z. These results are then applied to a most commonly

occurring system, namely that consisting of normed random variables whose distribution is attracted to stable laws with exponent

.

In this case we find

S=.

In the classical central limit theorem (= 2) we find

that if EY2

<

,

then X is attracted to the normal distribution if and only if XY is attracted to the normal distribution, and moreover the same norming constants work. For

<

2 we find that if E

IY

1

+

<

_{and X is}

attracted to a stable of index

,

then XY is attracted to the same stable

law, the same norming constants work, and the exact scale change between

the two resulting stable laws in calculated. We are also interested in

when the limit laws of S and

S’

are of the same type. A necessary and sufficient condition for this to happen is that the limit law be either

of purely stable type, or a mixture of stable and normal type.

2. PRELI>]NARIES AN INDEX OF CONVERGENCE

Let us recall several important facts from [3].

If S

[{Xnj

j 1,2,

...,kn

is an infinitesimal system of random

variables, the functions M are defined by

n k

n

(x) for x

<

0

7.

j=

IFx

M

(x)

n,j

n

k

n

Zj=l

FX

(x)-l}

for x

>

0 n,j

342 P. L. BROCKETT where F

X is the distribution function of

Xnj

n,j

We shall say that the system S is convergent to X if there exists a

k

of real numbers

[C

n=

1,2,...}

such that E

nIX

-C

sequence converges

n j= n,j n

in distribution to X as n

+

.

In this case X is infinitely divisible with characteristic function whose logarithm is of the form

2 2

u

f

iux iux

2 log

fx(U)

iu

-

+

[e

-i

}dM(x)

l+x

We shall simply write X

(,2,M)

to express the fact that X has such a

d d b

characteristic function. The symbol

S

represents

l:n[f

+S

a

0

-c a -c

and b

0}.

All integrals are taken in the Lebesgue-Stieltjes sense. The

set of points of continuity of a function g will be denoted Cont(g).

Discont(g) is defined to be the set of points at which g is not continuous. k

n

We shall hence forth use % to denote

%j=l

and

Fnj

to denote F X

nj

DEFINITION. Let S be an infinitesimal system. The index

S

for the

system

S i__s defined by

S

infiX.

>

O" lira

(x n)

+ (0,),J

dMn(t)

O}

with

S

if no such g above exists.

One should remark here that the index

S

as defined above has some relation to an index defined in 1961 by Blumenthal and Getoor [2] and later generalized by Berman (1965). They define the index

M

for the Levy spectral function M by

I

M=

inf[c

>

0"

S

IxlCdM(x)

< }’

and proved -i

i=

inf[c

0: lim[

IxlC(M(-Ixl)-M(Ixl)}

0}

As a similar result in [4] it was shown that then S converges to X~

(,2,M)

we have for a e Cont(M)

S

inf[[,

>

6M"

S

Ix[SdMn

(x)

*

!xI%dM(x)]

(2 2)

Ix

I<:

Ix

<

with

S

if the above set is empty. An easy way of calculating

S

is

then given by noting that

lim lim sup

’IxIYdM

(x)=0 if Y ">

-ES

_{(2 3)}

Iim inf

n+

Olxi<

,}xlYdMn,,[x)=

for any e

>

0 if _Y <

>S"

We next recall a variational sum result proved in [4].

THEOREM I.

Suppose

S is an infinitesimal system converging

t__o

X

(,2,M),

and

suppose

that g is a bounded function which satisfies

g(x)

0(Ixl

)

a__s

x 0 for some

>

S

and which is either continuous

o__r

is of bounded variation over

(-,0)

and over

(0,)

with discont(g) Q

discont(M)

@.

Then we have

lim Z

E(g(Xnj))

lim

n+

n+<

(-,)

g(x)dM

n(x)

f(_

,")

g(x)(x).

R]D4ARK I. Some comments about the index

S

are in order. If the

system S is convergent to X~

(cr,e2,M),

then

M

<_

S

<--

and either of the

.M

see [4] where

two equalities is possible. For an example where

S

it is shown that if

[XI,X2,

...]

is a sequence of independent identically distributed random variables belonging to the domain of attraction of a

stable distribution with exponent

,

and if S

[{Xj/B

344 P. L. BROCKETT

M

if

<

2

In [3]

then

S

=aJ. It is clear that in this case

0 if 2 an

example is given showing

S

can be anything. Namely for

<_

a

conver-gent system S is found such that

S

=%" To show that

S

measures "how" the system converges rather than to what it converges, an example in [3]

is given showing that for any Levy spectral function M and for any %

>

M

there exists a system S converging to

(0,0,M)

with

S

=%" The index

S

has proved to be the appropriate index for studying variational sums of in-finitesimal systems

[4],

and has been shown to be an extension of the

Blum-enthal-Getoor index for stochastic processes with independent increments

[5] which allows a unified treatment of variational sums of such processes. Let us also state for reference the general limit theorem as found in

Gnedenko and Kolmogorov

(1968)

or Tucker (1967).

.,

k

n

THEOREM 2. Suppose S

[[Xnj

j i,

2,

is an infinitesimal

A_

necessary ___and

sufficient condition

that.

EXnj-Cn+X~

(,2,M)

system.

is that the following three conditions all hold

A)

Mn(X

+

M(x) for all x e

Cont(M)

Jlim

sup

[

B)

+01im

llim inff

n

x (x)-7 xdF

x

(x))

2 2

ixl<

e n

Ixl<e

nj

C) xdM (x)-c

+

+

x

/(I+

)dM(x)

x/(l+x2)dM(x)

Ixl<

T n n

ixl<

T

ixl<

r

for any r

>

0.

3. A LIMIT THEOREM FOR SCALE MIXED SYSTEMS AND APPLICATIONS

We shall now proceed to answer the questions posed in the introduction

Namely when S is convergent, the index

S

yields the needed tool for

exact relationship between the limit laws of S and of

S’

is given in the following theorem. Also to be noted is that the convergence properties of

S’

are the same as that of S

(i.e.,

S

S

’)

and the behavior of the limiting Levy functions are the same

(M=

).

In particular since an infinitely divisible distribution is continuous if and only if the corres-ponding Levy spectral function is unbounded, it follows that the limit distributions of S and

S’

are simultaneous continuous or not continuous.

THEOREM 3. Suppose that S

[[Xnj

j

1,2,

...,kn}]

is convergent _{t_9_o}

2

d

yj

XN

(,

,M) i.e.,

EXnj

-c

>X.

Let

J=

1,2,...}

be a

sequence

of n

independent identically

distributed random variables with

non-degenerate

S+

common distribution function

Fy

and with E

IY

<

for some

>

O.

Assume

also that

[Yj,

j=1,2,...}

is

independent

of the system S. Then a

necessary

and

sufficient condition

.th.at

S’

[YjXnj

J

I,

2, ...,k

n}

n=1,2,...]

be convergent

i_s

CO=

lim lim sup

e+O

n+oo

ixl<

e n lira llm inf x dM

(x)

+0

n+.

(3.1)

exists and be finite

(so

that

bl

Remark i

necessarily

S <-

2).

l_f

S’

co___p_n-verges to Z

(’,

(")2,A),

then the following are true:

0

I

Th_..e

centering constants

fo___[r

S’

can be chosen

a_s

d Z

S

XdFx

.Y

n

Ix I<

n3 j

(x)-

-Z

SI

x

l<rx3/(I

+

x

2)

dFXnjYj

(x)

+

Z

SI

x

i>Tx/(I

+

x

2)

346 P, L. BROCKETT

0 2

S

[l-Fy(X/t)}dM(t)

+

S

)Fy(x/t)dM(t)

for x

<

0

A(x)

(-

,

0)

(0,

-S(_,0Y

(x/t)dM(t)

+S(0,m)[Fy(x/t)-l}dM(t)

for x

>

0

30

(,)2

CO

Var(Y)

+

2(E(Y))

where C_O is as defined in

(3.1)

4

Ps

s’

50

pM.

NDTE:

I.

If

S

<

2 then

(3.1)

is automatically satisfied with

CO=

0

by

(2.3)

and necessarily

q2

0 (otherwise

S

>-

2),

so

30

says

()

2 0 in

this case. Also when

S

2 and

(3.1)

holds we need only assume

E(Y

2)

<

to obtain the conclusion.

20

2 It should be noted that the mere meaningfulness of formula may

not be sufficient for the conclusion of the theorem. Examples of this are

given in

[3].

PROOF. I) We first note that

S’

is indeed an infinitesimal system.

Now,

an easy calculation yields

F

X

.y

(x)

S

[l-Fy(x/t)dFnj(t)

+

S(0,)Fy(x/t)dFnj(t)

(3.2)

n

j (-

,

0)

347

Here

XA(X

I

if x e

A

and 0 if x

4

A. Let

x e A and 0 if x

4

A. Let

and let

(x)

n

Z F

x

.y

(x)

for x

<

0

n] j 7.

IF

X

.y.(x)-l)

for x

>

0 nj 3 g(x)

=

1

-Fy(x)

Fy

(x)

x>O x<0.

Then using

(3.2)

in

(3.3)

we have for x

<

0

(3.3)

(x)

n o

(-

oo,

O)

while for x

>

0 we have

[l-Fy

(x/t) ]dM

n

(t)

+

S(0,)Fy

(x/t)dMn

(t)

g

(x/t)dMn(t)

(x)

z{-n

(-

,

O)

g(x/t)dFnj

(t)

S(0,)

-I-

g(x/t)dM

n(t).

(-,)

g(x/t)

dF (t)

nJ

Thus we have

g

(x/t)dM

n

(t)

for

A

n

(x)

(-’

)

(,)

g(x/t)dM

n(t)

for

x<0

x>O.

2)

In this part of the proof we shall show that if

EIY

(3.4)

<

,

then we always have lim

A

(x)=A(x)

for all x e

Cont(A).

Indeed since

n

defi-348 P. L. BROCKETT

nition of g, we can thus see that for fixed

x,

t

+

O. Let us write

gx(t)=

g(x/t).

By Theorem i we have

as

lim

S

gx(t)dMn(t)

S

gx(t)dM(t)

(3.5)

n+

(- ,) (_ ,)

for every x such that

discont(gx)

N

discont(M)=

.

Thus using

(3.5),

(3.4)

and

20

we have lira

An(X)--A(x)

for all x such that

discont(gx)

N

discont(M)

.

Let /=

[x:

discont(gx)

discont(M)

}.

It remains to

show Cont

(A)

c

.

Equivalently we show

c

discont(A) If

Y0

e then

there exists a t

o

such that

gYo

and M are both discontinuous at t

o

For

simplicity let us assume that

Y0

>

0 and t

o >

0.

A

similar argument can be used in any other case. Thus we have

__o(tO +0)-__o(t0-0)

>

0 and

dM({t0})

>

0, so that for any small h

>

0 we have

A(Y0+h)-A(Y0-h)

>_

[Fy(

to

)-Fy(

)}dM([t0}

Y0

Y0

Fy(t--)-Fy(t

+-)}dM([tO})

[gYo

(tO+)’gyO(tO-)}dM({t0})

>_

[gy0(t0

+

0)-gy0(to-0)

}riM([to})

b 0

where

=t0h/(Y0-h)

and

N=t0h/Y

O+h.

Since

A(Y0

+h)

-A(Y0-h)

>_

b

>

0 for all

h,

we must have

YO

e

discont(A).

Thus A

(x)

A(x) for all x

Cont(A).

To see that A is a Levy spectral function, noted that A is monotone increasing on

(-,0)

and on

(0,)

and

A(+)--A(-)=0.

We

2d

A

must also show that x

(x)

<

The proof of this is accomplished

(-, )

in part

5)

below.

EFFECT OF RANDOM SCALE CHANGES ON LIMITS

is given by

(3.4)

and A is given by

20

Now for 0

<

a

<

b

<

let denote the indicator function of the interval

(a,b]

and calculate

(a,b]

Xi

(u)

dry

(u)dM

n

(t)

An(b)-An(a)

S(_,)S(_,)

(a,b]

S

S

X

(tu)dFy

(u)dM

n

(t)

so that

S

f(x>dA (x)

S

S

f(ux)dFy(u)dM

n(x)

(3.6)

(_ ,) n (_ ,) (_ ,)

holds when f is the indicator function of an interval in

(-,).

Standard approximation techniques now allow us to conclude (3.6) holds for the

function in question. Also

(3.6)

holds if we replace A byA and M by M.

n n

0

4) In this part of the proof we show that 4 holds. We shall use

(2.4)

to show

S S’

Now for any 5

>

0 we have

S

Ix

[gdA

n(x)

S

Ix

g

S

lu

[8X

(ux)dFy

(u)dM

n(x)

[xI<e

(-,1 (-,)

(-’)

SI

xl

<IIxl

Sluxl

<EIul

gdFY(u)d:M

n(x)

+SI

xl-

I

uxl

<E

dFy

(u)dM

n

(x).

However concerning the second term above we see that

350 P. L. BROCKETT

Thus to show

S

S’

we must only show

lim lira sup

Ix

lu

dFy(U)dM

n(x)

0 if 5

>

S

and

lira inf

S

Ix15

S

lulgdFy(U)dMn(X)

for any e

>

0 if 5

<

S"

Suppose then that 5

<

S

and choose e

I

so that

f

Ix

lSdFy(X)

>

0. Now

Slxl<l

fluxl<eluxlSdFy(U)dMn(X)

>_Slxl<IIXl5

Slul<elulSdFy(U)dMn(X)

n

-

Ixl<l

IXUl<e

I

S

lulSdFy(U)

lira inf

S

Ix]5

luI<e

I

n

-

Ix

I<1

dFy

(u)dM

n(x)

>_

dM

n(x)

=,

and thus

S

<-

s’

To see that

S

>-

S’

let y

>

S

be such that

EIYI

%’

<

and pick

>

0 such that 5 _"Y

<

<

5

"S

i.e., such that

S

<

5

"

<

"

Then

EIYIS"

<

and also

SIxI<IIXlS"dM

(x)

is bounded in n. Now

Slx]<l

Slux]<e]uxlSdFy(U)dMn(X)<

n

E

IY

-

Ix

15"cccIM

(x).

e

SIxI<

1 n

Thus

luxlgdFy(U)dMn(X)

0. I.e.

S’ <- S

and hence

S’

=S

0

5) In this part of the proof we shall show 5 holds by showing

< if 5

>M

II(x)

Ixl<l

if 5

<

M.

Suppose 5

>_

M

and that

oj

-IxlSdM(x)

<

.

Now we know by hypothesis

(-,)

EFFECT OF RANDOM SCALE CHANGES ON LIMITS 351

IxI<l

Ixl

5

Sluxl<llUlSdFy(U)dM(x)

dFy(U)dM(x)

<_

EIYI

5

Slxl<l

IxldM(x)

+M(-I)-M(1)

<

i.e.

A

<__

M.

On the other

hand,

if

<

M

so that

S

1

then choosing 1

>_

c

>

0 such that P[

<

-]

>

0 we have

15

Ix

d(x)

oo,

Thus

A

>_

M

and hence

A=

M.

In particular, choosing 5 2 we see A is

indeed a Levy spectral function.

6)

An elementary calculation using the Helly Bray theorem and Theorem 2 shows that the centering can be taken as in

I

0 when (3.1) holds.

7)

In this part of the proof we shall show that the finiteness of

the limit in (3.1) is necessary. We shall show that if

then

2d

M

lim sup x

(x)

n+

Ixl<e

n

(3.7)

xdF

352 P. L. BROCKETT

Hence by the general limit theorem

S’

cannot be convergent. and for simplicity of notation let us write

Let e>l

o"

(e)=

x

(x)-Y.

xdF

X y

(x))

2 n

xl<

e n

xl<e

_{nj j} Then

(e)>

n

x2

S

ux

l<e

u2dFY

(u)

dM

n

(x)

(3.9)

ixi<e2

luxl<

dFnj

2Y.[S

x

S

udFy(U)dFnj

(x)}[S

x

S

UdFy

(u)dF

2

lux

I<

nj

(x)]

E[;

x

S

UdFy

(u)dFnj

(x)2.

lira sup

Y’[S

x

S

l<eudFy(U)dFnj(x)]2=

O.

PROOF.

By

the Schwartz inequality,

;

{:x

S

UdFy

(u)

]dFnj

(x))

<--

(S

Ix

S

UdFy(U)}2dFnj(X)>P[

IXnj

_

e

2]

<

max P[

IXnj

_

e2]

S

x2

S

u2dFy(U)dFnj(X).

RANDOM SCALE CHANGES ON LIMITS 353

Using the infinltesimality of the system, we have the first term converging

to zero. The sum of the second terms is bounded, since by the Helly-Bray

theorem

2

S

2dFy

lim sup x u

(u)dM

n

(x)

n->oo

ix

i>_e2

ux

I<

<

{E(Y

2)

x

(x)

+

2

IXl>e

<II<

dM(x)].

This completes the proof of Claim I. have

Note that using the above we actually

lim lim sup

e+O

2

S

2

x u

dFy(U)dM

n(x)

Oo

2

lux l<e

(3.10)

CLAIM 2.

UdFy

(u)dFnj

(x)

{:S

x

S

UdFy

(u)dF

Ixl>--e

2

lux

l<e

nj

(x):

2dM

%

<

[E

(Y2)

}1/2o(I)

S

x

(x)}

n

354 P. L. BROCKETT

Applying Claim

I

to the second term and the Schwarz inequality to the

first term in the above product we have that the left hand side does not

exceed

{:S

x

l<e2x2(S

lU

x

I<udFY

(u))2dMn

(x)

1/20

(:)

<-

[E

0f2)

1/2

(I)

IS

Ix

i<

Cx2d:Mn

which completes the proof of Claim 2.

Now using the inequality

2 x

Slux

l<eudFy

(u)dFnj

(x)

<--

S

x2:S

udFy

(u)]2dM

n

(x)

Ixl<e

2

luxl<

and using Claims i and 2 in

(3.9)

yields

2

X2[S

u2dFy

(u)

(S

UdFy(U))2}dMn

(x)

2(E(y2))o(:)[S

x

(x)}

+o(1).

2 n

(3.11)

Since

(3.7)

implies

S >-

2,

we know

E(Y

2)

<

=. Let

>

0 be chosen such that

War(Y)-

>

0 and choose

eO

2

>

0 so small that if

xl

<

e,

then

RANDOM SCALE CHANGES ON LIMITS Then for

<_

₀

in

(3.11)

we have

2

S

2dM

2

f

2

1/2

()

>

[Var(Y)-5}

x

(x)-2E(Y )o(I)[

x dM

(x)}

+o(i)

n _n

ixI<2

n 2

Ixl<e

(3.12)

S

_x

2dM

(x)

1/2[

(Var (Y)

_-5

(S

_x

2dM

1/2

2

(x))

-2E(Y

)o(i)} +o(I)

ixl<e2

n

ixl<

n

By

(3.7)

the lim sup as n

+

of the right hand side of

(3.12)

is

+

,

2

i.e., lira sup

n(e)

=,

and

S’

cannot be convergent.

8) In this part of the proof we show that if

(3.1)

holds, then

S’

is convergent to X

(’,

(’)2,)

Since we have already shown that lim A_n

(x)=A(x)

for all x e

Cont(A),

to obtain this part of the proof,

we need only show that with

.2(:)

as given we have n

2

sup

n(e)

lim lim inf

2()

(,)2.

lim lim

n

2

Now,

if

#S

<

2,

then

by

(2.3)

we must have 0, and

CO=

0. However by

part 5 of the proof

#S’

=#s

so that

2d

A

0

<_

(,)2

<_

lim lim sup x

(x)

0

so that 30 holds with

(0’)2=0,

and consequently

S’

converges to

356 P. L. BROCKETT

2

S

2S

2dFy

o"

(,)

x u

(u)dM

n(x) (3.13)

+S

x2

S

u2dFy(U)dMn(X

-Z(

S

x

S

UdFy(U)dFn

II>_

lul<

II<

lul<

(x))

-Z

(S

x

SIUX

l<eudFy

(u)dFnj

(x))

ux

l<l::UdFy

(u)dF

nj

(x))

(S

x

S

it>_2

luxl<

UdFy

(u)

dFnj

(x)).

Applying (3.10) to the second term, Claim 2 to the last term and Claim i to the 4th term on the right hand side of the last equality in (3.13)

and upon adding and subtracting

we have

Z(S

x

S

UdFy

(u)

dFnj

(x))

I<

I<,}

lul<:/

:

(e)=

2

u2dFy

(u)dM

n

(x)

(3"

u

iI<

2

ii<<

I

<e2

ux

i<e

nj

+

gl

(n, e)

EFFECT OF CHANGES

where lira lira sup

gl(n’E)

=0.

PROOF. Using the equality a2 b2

(a-b) (a

+b) we have

Ix

i<E

2 u

I<:/

)dFnj

(S

x

S

UdFy

(u)dF

(x))

2

UdFy

(u)dFnj

(x)

UdFy

(u)dFnj

(x)

{S

udFy

(u)dFnj

(x) }.

For simplicity we denote

UdFy

(u)dF n j(x).

Then the right hand side of

(3.15)

becomes equal to

358 P, L. BROCKETT

Thus to complete the proof of Claim 3 we must show

llm lim sup I

f2

9-0

n+

nj

()

0

(3.16)

and

lira lira

sup[E

f

(e)

S

x

S

UdFy(U)dFnj

(x)]

0.

e 0 n9- nj

x

l<e2

lu

I<i/

(3.17)

Concerning

(3.16),

note that by the Schwarz inequality

f2

2 2

nj

()

<-

S

x

S

u

dFy(U)dFnj

(x)

2dM

2

and letting a(e

2)

lira sup x

(x)

we have a(e C

O as e 0 and

n

n+m

2

hence

Ixl<

S

2dFy

(u)a

lim lira sup Z

f2

()

<

lim u

(2))

0

so that

(3.16)

holds.

In

a similar

manner,

concerning

(3.17)

we have

fnj

()

S

x

S

UdFy

(u)dFnj

(x)

Ixl<e

2

lul

<I/

lu

dFy

(u)dFnj

(x)) [E

IYI

S

2

<

E(Y)

[S

oluldFy(U)}[

x2dF

.(x)}.

ixi<e2

n3

RANDOM SCALE CHANGES ON LIMITS

lu

IdFy(U)

x dM2

(x))

from which

(3.17)

follows

easily.

Now using Claim 3 in

(3.14)

and upon adding and subtracting

(lul<le

udFY(u)>

2

S

x dM2

(x),

we obtain from

(3.14),

n

2

359

G_n

(c)

S

x

(u)-

UdFy(u))2

ixl<,

2

I,,1</I,1

+

g2(n’E)

where lim lira sup

g2(n’E)

O.

:+0

n+oo

(3.:8)

Then, if we use the inequalities

{S

x2dM

(x)

{S

u2

dFy

(u)

ix

j<(::2

n

lu

i<1/(:

iI<2

u

ii<2

n

2

360 P. L. BROCKETT

(3.19)

Using the fact that

Elim

Ilim+0

lim

sup

equal when

(3.1)

holds, we obtain

of the extremities in

(3.19)

are

C

0

Var(Y)

+

(E(y))22

<_

lim lim inf

2(e)n

e+O

n

2

<_

lim lim sup

n

(e)

<-

CO

Var(Y)

+

(E(y))22

e+0

n+

where C

O is the constant given in

(3.1),

so that

(0’)

2

exists and is given

by

(,)2

C

0

Var(Y)

+

(E(Y))

2 2

(y

9)

In this part of the proof we show that if

S’

is convergent

2 2

(so

that lim lira sup

n

()

(’)

lim lira inf

2())

then necessarily n

+0 n 0 n

(3.1)

holds. By part 7) we know that we may assume

S

2dN

lim sup x

(x)

<

so that all of the previous equations leading n

+

Ixl<e

n

EFFECT OF RANDOM SCALE CHANGES

UdFy

(u))2{

x

(x)

Y. xdF

(x))2

Ix

I<i/e

_x

i<2

n 2 nj

+

g2

(n, )

throughout the inequality

(3.19)

to obtain

2dM

[S

u

dFy(U)-(S

i<i/e

{S

x (x) 2

UdFy

(u))

ix

i<2

n

Ixl<i/e

2

(S

S

2dM

<

(g)

XdFy(X))2{

x

(x)

n

ixl<i/g

xl<g

2 n

Z

(S

xdF

(x))2

2 nj

g2(n’e)

2dM

<

{S

x

(x)}{E(y2)

(S

UHFy

(u))2}"

2 n

lul<I/e

2

(3.20)

Now,

lim

lim

sUPn

(E(Y))

o|lim

inf of the inside of

(3.20)

equals

()2

2 2

while on the outside of

(3.20)

the above limits yield

Var(Y)

lim

I

lim

sup

S

2dMn

+0 lira

inf

xl

(x).

We thus conclude (3.i)

n+

Ixl<E

2

holds with

Var(Y)C0=

(,)2_ (E(y))2

2.

This completes the proof of the theorem.

Let us now turn to the frnework of the more classical central

limit theorem. If

[XI,X2,...}

is a sequence of independent identically distributed random variables with common distribution function

F,

we

shall write X

362 P. L. BROCKETT

there exists norming constants

[B

n=

1,2,...}

and centering constants

[An,

n=

1,2,...}

such that En

I

X

/B

-A converges in law to a distri-j= j n n

bution which is stable with exponent

<

2.

In

this case the relation between the scale mixed system

S’

and the original system S takes on a particularly appealing form. Our con-dition for convergence only depends upon the moments of Y and the index

THEOREM 4.

Le__t

[XI,YI,X2,Y2,...}

be

independent

random

variables

x

having distribution function F

X and Y

havin$

distribution function

n n

Fy

I)

l__f

EIYI

2

<

,

th.en

X

(2) .implies

YX e

(2)

an__d

the sne norming constants wor

k.

Conversely

i__f

YX e

D2)

.t.he.n

X

D(2)

an__d

the sne norming constants

work.

2)

l_f

E

IYI

+8

<

for some

>

0,

then X e

D()

implies YX e and the sme norming constants

.wpr

k.

PROOF. The direct statement in I) and

2)

will follow from Theorem

3 once we show that

(3.1)

holds. Let S=

{[Xj/Bn,

j=

1,2,...,n}}

then as proven in

[4],

X e

O()

implies

S

=" For

<

2 we have

(3.1)

holding with

CO=0

by

(2.4).

For =2 we know

(see

Feller

(1971),

[6]

pg. 314) that necessarily

B-

Yl

<B

EFFECT OF RANDOM SCALE CHANGES ON LIMITS

Using the fact that n

f

y

2dFx

(y)

S

y2dM

(y)

and that

n

[y

[<Bn

e

Ix

[<

n

S

y2dFx(Y)

is a slowly varying function of t yields

(3.1)

in this case also. Applying Theorem 3 we obtain the convergence of

S’

[[XjYj/B

n,

j

1,2,..o,n}}.

If

=

2 then Mm0 so by

20

of Theorem 3, A=0 and

S’

converges to a normal distribution. If

<

2, then by

30

of

2

Theorem 3

(’)

0 and with

Cllx[-C

if x

<

0

M

(x)

--C2x

if x

>

0

(3.22)

20

we have by of Theorem 3

A(x)

Fy(X/t)d(t -)

if

I-Fy

(x/t)d

t

-)

-C2

f(0,

)

’(_

oo,o)

C

I

-C1

S

Fy(X/t)d([tl-c)-C

2

f

{Fy(X/t)-l)d(t

-c)

if

(- ,o) (o,)

x<O

x>O,

or equivalently, upon integrating by parts

A(x)

(-,o)

(o,)

(- ,o)

(o,)

(3.23)

Upon simplifying

(3.23)

we obtain

A(x)

:I

al

]x[--

if x

<

0

-a2x

if x

>

O,

364 P.L. BROCKETT

i.e., X Y is in the domain of attraction of a stable law with character-n n

istic exponent

,

and the same norming constants work.

Let us suppose now that YX e (2) and

EIYI

2

<

.

We shall use the general limit theorem to show E

n.

iX

/B

-A converges to a normal

distri-j= j n n

bution. With M given by

(2.1)

and A given by

(3.3)we

shall show

n n

A (x)

+

0 for

x0

implies M

(x)

+

0 for

x

0. Indeed let t be such that

n n

P[

IYI

>

t]

>

O. Then

dA

(x)=

Sf

dFy(U)dMn(X)

O--S

₂ n

2

Ixl>t

luxl>t

f

2dFy(u)dMn(X)

>-

SIxI>

tP[IYI

>

t]dMn(X)"

Since P[

IYI

>

t]

>

O,

dM

(x)

O,

thus the limiting Levy function is 0.

Let us complete the proof by showing

E 0 lim inf

x (x)-n

XdFx(x

))

n->oo

Ix[<e

n

exists and is finite. In view of part 7) of the proof of Theorem 3 we

know we must have

2d

M

lim lim sup x (x)

<

CO

Utilizing the inequality (3.20) of Theorem 3 we see that we must only

show for

S

C

I

im lim inf x

(x)

0

n+

Ixl<e

n

we have

CO=

C

I

Now by

Fatou’s

lemma and by

(3.21)

C

2 lim x (x) lim inf x u dM

(x)dFyU

n+

Ixl<e

n n

+

{ux

n

<_

lim

S

lira inf

u2

S

x

2dM

(x)dFy

(u)

C E

(y2)

e 0 n+oo

lu

x

I<

n 1

On the other hand for ₇

>

0 choose 5 so small that

f

u2dFy(U)

>

(I-)E2).

Then C

2

>_

lim sup u x

(x)dFy(U)

>

n

-->-

u

I

Ix

n

2dM.

(I-

G)

E

(y2)

I

im sup x

(x)

Thus n

+

ix

i<e/5

n

(I-D)E(y2)c

0

<_

C2

<_

E(y2)cI

<_

E(y2)c0

Since ₇

>

0 is arbitrary C

distribution.

I

=C0

and Z

n.j=Ixj/Bn-An

converges to a normal

REMARK

2. i) The first part of Theorem 4 should be compared to a

result of H. Tucker

(1968)

who considered sums of random variables in the

domain of attraction of the stable distributions instead of their pro-2

ducts. He shows that if EY

<

and X e () then X+Y e

()

and the 2

366 P.L. BROCKETT

slight modification of his methods yields X e

D().

Combining our re-sult with his we find that if

X,Y,e

are independent random variables,

Ey2

2

<

and EE

<

,

then X e D()YX+ e D(o)and the same norming

constants work. For =2, X e

)12)=>

YX+E e D(2) with the same norming constants.

ii) In Theorem 4 we can actually calculate the scale change

in-volved in the distribution of the limit laws of S and

S’

when

<

2. Namely, in going from

(3.23)

to (3.24) we have

x<O

x>O

where

al=C

1

f

tdFy(t)

+C2

f

tlCdFN(t)

and

(o,)

(-,o)

a2=C2

S

tdFy(t)

+C

I

f

ItldFy(t).

This follows immediately

(o,)

(-,o)

-1 from (3.23) by the change of variables z= xt

iii) It can be shown that for

<

2, YX e

D()

and

EIYI +

<

implies that

EIXI

c’

<

and

EIXI

c+6=

for all 8, hence

S

"

I

suspect that in fact X e

D()

however, I have been unable to establish

this for

#2.

iv) Suppose that

lira lira sup

Ix[

dM

n(x)

=C

O

EFFECT OF RANDOM SCALE CHANGES ON LIMITS 367

C

I

C0C

1

then for i

-Fy(X) +Fy(-X)

----

we have A

(x)

+

+

A(x)

where

A(x)

n

IS

0

is given by 2 of Theorem 3. This is a Levy spectral function when

S

<

2. Thus we see that some random scale changes introduce a stable component into the limit law.

We can also use Theorem 4 to derive some interesting statements

about slowly varying functions which would be difficult to prove by other means. The precise formulations are given in the following

corollary.

i0 Suppose EY2

<

Then o

o

x2dFx(X)

is a slowly

COROLLARY

varying function of t if and only

if-o

S

xmumdFx(X)dFy(U)

is a

lu l<t

slowly function

o__f

t.

20

Suppose

a)

S

x2dFx(X)

varies regularly with exponent 2-

a__s

a

function of t and also

P[X

> x]

P[X

<-x]

P[

IXl

>_ xl

x

+

-

p’

p[Ixl

_

x] x

+

q

b)

an__d

EIYI

+

<

for some 8

>

0, then

S(_

,

)

Slu

x

l<tx2u2dFy

(u)dFx

(x)

368 P. L. BROCKETT

PItY

>_

x]dFx(t

(o

)

S

P[

ItYl

>--

x]

dFx

(t)

(-,)

S

PItY

<_

-x]dF

x(t)

<-

).

q’

S

P[

ItYI >-

x]

dFx

(t)

for some

p’

q

>__

0

.w.ith

p’

+q’ >

0.

PROOF. This follows immediately from Theorem 4 by utilizing the

necessary and sufficient conditions given in Feller

(1971)

for a dis-tribution to belong to the domain of attraction of a stable law.

In the previous theorem we observed an interesting phenomenon. Namely we took an infinitesimal system S and subjected it to an arbitrary random scale change with

EIYI

S

<

and we obtained a new system

S’

which was convergent. Moreover the limit distributions of S and

S’

were of the same type. In problems where X represents a

"true"

or

nl

theoretical measurement of some occurrence and Y the scale change in 1

the measuring device used to measure the

occurrence,

we obtain as an

observation the product X

.Y.

It is of interest to determine when

nl I

limit distribution calculated from the empirical data

[[XnjYj,

j

1,2,...,kn}}

is of the same type as that from

[[Xnj

j

1,2,...,kn

}"

For normed sums in the domain of attraction

us to calculate the scale change. In general the following theorem tells

us that in non-stable limits the empirical data may yield a different

type distribution than the theoretical data

[[Xnj

J

1,2,...,kn

}"

THEOREM 5. In order that a limit distribution

b__e

preserved i__n

type

S+5

under all random scale mixtures with E

IYI

<

it is

necessary

an__d

sufficient that the limit distributio type be either purely stable or a

mixture of stable and normal.

PROOF. The sufficiency follows from

20

and

30

of Theorem 3 of Theorem 3 as we calculated in Theorem 4, and in fact the scale change

involved is given in Remark 2ii).

Suppose now that the limit distribution is preserved in type when subject to random scale change. Then with S and

S’

as defined in Theorem 3 we know Z~

(’,

(’)2,A)

is of the same type as X~

(,2,M),

thus

(,)2

2 2

a and

A(x)=M(x/a)

for some constant a. As in 2) of the proof of Theorem 3 we know that

I

f

IM(x/t)IdFy(t)

A(x)

IM(x/t)

IdFy

(t)

x<0

x>O

(3.25)

If

M(x)

0, then both X and Z are normally distributed. If

M(x)

0,

then we must show M is given by

(3.22)

of Theorem 4. Using the fact that

A(x)

=M(x/a)

in

(3.25)

and letting

h(t)

j(x/t)[

we see that h is a function of t

(3.26)

370 P.L. BROCKETT

alone, the equality holding a.eo

[dFy].

Since Y could be chosen to be absolutely continuous we have (3.26) holding on a dense set of points t.

For simplicity in calculation we shall consider the case x

O,

t

O,

a

>

0 and denote

N(x)=M(x)/M(1).

The other cases may be considered similarly. Rewriting the equation

(3.26)

yields

N(x/a)h(t)

N(x/t)

and hence for x= a

Thus

h(a/y)

N

(xy/a

N(y). N

(x/a)

N(y2)

N(y)h(a/y)

(N(y))2

and by induction for any k

N(y

k)

N(yk-l)h(a/y)

Nk(y).

Letting

U(x)=-nlN(e

x)

I,

the above equation becomes

I/k U(knx)

U(n

x) or

a Levy Spectral function. Thus

M(x)=M(I

for x

>

0. Similarly we can

X

show

M(x)=M(-I)

for x

<

0. We see that

=

since the limit distribution

is of the same type whether multiplied by Y

<

0 or Y

>

0. The result then follows easily from the calculation of

A(x)

in both cases. This completes the proof of the theorem.

REMARK. The problem considered here could have been solved by de-fining the class C

S of random variables by

[Y"

lim lira

sup[

C

S

[l-Fy(xt) +Fy(-Xt)}dM

n(x)

0}}

and proving the main theorem for members of this class. Some such account must be made of the complex interaction of M

(t)

as

(t,n)

+

(0,)

and

n

l-Fy(t)

as t

+

.

Since moment conditions are perhaps a more natural approach, we choose to introduce the index

S

instead. To avoid the

"s

s

+

borderline case

l-Fy(y)~y

we choose to assume E

IYI

<

.

ACKNOWLEDGMENT

This paper is based in part upon results obtained in the author’s

doctoral dissertation completed in 1975 at the University of California,

Irvine, under the direction of Professor Howard G. Tucker. I would like

to thank Professor Tucker for posing the problem solved here, and

con-stantly expressing an interest in it. I benefited considerably from

372 P. L. BROCKETT

REFERENCES

I.

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